Mother of Dragons trading strategy…

nonetheless · Tue, 21 Jan 2020 10:47:18 +0000

Well, I had to call it something, right? Attached is the first code I’ve put together that ‘seems to work’. Survives all manner of WF tests: 70-30, 50-50, 30-70 – however you want to chop it. Also does well in Vonasi’s robustness tester, Random 10-10. I tried hitting it with a very big hammer but still performs well. Uses a combination of HullMA and Supertrend on the 2h TF to define the primary trend, then another HullMA + trailing stop on a 5m TF to control entry and exit. The 5m TF doesn’t give us much in the backtest but it does well in clear uptrends and downtrends. Just that choppy bit in March 2019 where it couldn’t cope. I hate to see whole month where a strategy doesn’t come good, but one out of 16 is not too shabby. It runs around the clock so I’ve allowed for a spread of 3.3, calculated for IG as: (6.5 x 2.4 + 6.5 x 1.6 + 2 x 9.8 + 9 x 3.8)/24 All backtesting was done with MM disabled but I ran the final optimization with it turned on just to demonstrate the boost it gives. Starts with position size = 1 and by the end of the run when equity has trebled, it’s placing position size of ~3.4, so more or less in keeping with standard practise. Also reduces position size in bad patches. Credit where credit is due: Vonasi wrote the Money Management part and coded the HullMA for me. The trailing stop I believe is Nicolas’ work – big thanks to both! But the really cool thing about this strategy is that the equity graph draws a perfect profile of Daenerys Targaryen! You might have to squint a bit, but if you can’t see Daenerys then you haven’t optimized correctly. All comments, suggestions, mods etc welcome! // DJI 5m DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM preloadbars = 5000 Capital = 10000 MinSize = 1 //The minimum position size allowed for the instrument. MM1stType = 0 //Starting type of moneymanagement. Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased. MM2ndType = 1 //Type of money management to switch to after TradesQtyForSwitch number of trades and ProfitNeededForSwitch profit has occurred TradesQtyForSwitch = 15 //Quantity of trades required before switching to second money management choice. ProfitNeededForSwitch = 2 //% profit needed before allowing a money management type change to MM2ndType. DrawdownNeededToSwitch = 8 //% draw down from max equity needed before money management type is changed back to MM1stType. DrawdownNeededToQuit = 25 //% draw down from max equity needed to stop strategy Once MoneyManagement = MM1stType Equity = Capital + StrategyProfit maxequity = max(equity,maxequity) if equity < maxequity * (1 - (DrawdownNeededToSwitch/100)) then enoughtrades = 0 tradecount = 0 moneymanagement = MM1stType endif if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then quit endif if not EnoughTrades then if abs(countofposition) > abs(countofposition[1]) then tradecount = tradecount + 1 endif if tradecount > TradesQtyForSwitch and maxequity >= Capital * (1 + (ProfitNeededForSwitch/100)) then EnoughTrades = 1 MoneyManagement = MM2ndType endif endif IF MoneyManagement = 1 THEN PositionSize = Max(MinSize, Equity * (MinSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinSize ENDIF PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 // Size of POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize TIMEFRAME(120 minutes) Period= 520 inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice) HULLa = weightedaverage[round(sqrt(Period))](inner) c1 = HULLa > HULLa[1] c2 = HULLa < HULLa[1] indicator1 = SuperTrend[5,21] c3 = (close > indicator1) c4 = (close < indicator1) TIMEFRAME(5 minutes) Periodb= 60 innerb = 2*weightedaverage[round( Periodb/2)](typicalprice)-weightedaverage[Periodb](typicalprice) HULLb = weightedaverage[round(sqrt(Periodb))](innerb) c5 = HULLb > HULLb[1] c6 = HULLb < HULLb[1] // Conditions to enter long positions IF c1 AND C3 AND C5 THEN BUY PositionSizeLong CONTRACT AT MARKET SET STOP %LOSS 2.1 SET TARGET %PROFIT 1 ENDIF // Conditions to enter short positions IF c2 AND C4 AND C6 THEN SELLSHORT PositionSizeShort CONTRACT AT MARKET SET STOP %LOSS 1.2 SET TARGET %PROFIT 1 ENDIF //trailing stop function trailingstart = 84 //trailing will start @trailinstart points profit trailingstep = 3 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

This topic has 522 replies, 50 voices, and was last updated 3 years ago by LaurentBZH35.

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03/28/2020 at 1:53 PM #123710

fifi743

Graph CurrentDayOfWeek

What time is the day change?

fifi743
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03/28/2020 at 1:59 PM #123711

nonetheless

fifi743 wrote:

And are the indices open on Sunday?

Yes, trading definitely starts 11pm Sunday.

nonetheless
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03/28/2020 at 2:07 PM #123712

fifi743

I Trade US100 tech
And when algo opened a trade before Monday at 1:00 a.m., I had a rejection

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03/28/2020 at 2:31 PM #123713

nonetheless

Interesting, I’ve not had that problem. I was holding a long position on US100 on the weekend of Feb 22,23 and took a big loss when it gapped down Sunday evening. You can see it on any chart, last candle of the week will close Fri 23:00 and the next candle to open will be Sunday 23:00

(with American Daylight Saving Time it’s Sunday 22:00)

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03/28/2020 at 2:43 PM #123714

bona25

~~@ FIFI~~

~~Reste aimable STP !~~

~~Merci.~~

@ FIFI

Stay kind STP!

Thank you.

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03/28/2020 at 2:46 PM #123716

fifi743

nonetheless wrote:

You enter a condition that if you are Friday you bring your stop closer
If you have a guaranteed stop

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03/28/2020 at 2:50 PM #123718

fifi743

bona25 wrote:

@ FIFI

Reste aimable STP !

Merci.

I ask you to respect the forum or is the problem?

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03/28/2020 at 2:55 PM #123720

Florian

@Bona25, FIFI not lovable? I have never seen someone so friendly, he always answers our problems on the forums.
He simply asked once again to respect the rules of the forum because on several occasions you wrote in “INSERT CODE PRT” …
Sorry but don’t take the FIFi message wrong 🙂

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03/28/2020 at 2:56 PM #123721

nonetheless

if you are Friday you bring your stop closer

Yes, that’s a good idea.

And of course, I wish I had had a guaranteed stop. But in that case (Feb 23) it was a manual trade so no coding involved, just hi-risk stupidity.

nonetheless
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03/28/2020 at 2:57 PM #123722

bona25

~~@ FIFI pour toi en Français.~~

~~Le problème c’est la manière de répondre et de plus sans donner d’explication.~~

~~Pas besoins de vos commentaires désagréable.~~

~~Fin de l’histoire.~~

@ FIFI for you in French.

The problem is how to answer and moreover without giving an explanation.

No need for your rude comments.

End of the story.

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03/28/2020 at 3:01 PM #123723

nonetheless

@bona25 Google Translate is your friend! Use it and we’ll all be happier! Pas de problème.

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fifi743

nonetheless
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03/28/2020 at 4:13 PM #123725

Vonasi

bona25 – Please respect the forum rules. English language only in the English speaking forums. If you wish to communicate in French then use the French speaking forums.

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03/28/2020 at 5:28 PM #123737

Francesco

@nonetheless Now do you understand why that time I thought I had found the perfect strategy I was reluctant to make it public?
Knowing that these rude and pretentious people are there to take advantages from our work makes me mad, even if it goes against the principle of public community.

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03/29/2020 at 10:37 AM #123782

Nicolas

Hello everyone, I have been following this topic since it opened and I must say that I really like what I have read there since. I am surprised by the content of the last exchanges, which it seems to me, should not exist in view of what we all form here, a superb community of enthusiasts of trading and programming 🙂

In the current context, there are many of you on the forums and our workload (to us the moderators) has considerably increased. To this end, I would ask you to please, all of you, behave correctly and avoid wanting to shout louder than the others (difficult on a forum you will agree).

A big thank you to @nonetheless for his work and his sense of sharing, to @fifi743 for his availability and patience.

I would like to remind you of a few simple rules which allow us to keep a forum clean and tidy and which saves us a lot of time: avoid using excessive quotes from other messages; always be courteous and polite; write in the language of the forum. A big thank you to everyone, have a great Sunday despite the confinement.

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03/29/2020 at 11:40 AM #123790

bona25

Hello everybody ,

I am sincerely sorry for the inconvenience …, but I cannot post correctly …

I simply asked for explanations via the screenshots to tell me the procedure to follow.

Good luck to all.

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